README

Data files:
s&p100_price.csv S&P100 weekly prices downloaded from Yahoo.Finance (names of stocks are in the first line)
crypto.xlsx daily prices of 25 cryptocurrencies (names of cryptos are in the first line)

Codes (written in Matlab, last run in Matlab R2022a on Windows 11 Pro):
sp100_coint_var_k.m (to get Figure 10: Eigenvalues from S&P data and Wachter distribution.)
crypto_coint_var_k.m (to get Figures 11 and 12.)